Technically, "Format" is a program, it's just the it's command prompt only so it doesn't have a GUI. Most any command can be typed:
xxxxxx /?
to get the options to use with the command.
However, as long as you're using a reasonably recent Windows version, there is a GUI program included to do what you're asking.
From the Start Menu, choose Control Panel. Look for Administrative Tools. If you can't find it, choose the option in the upper left corner to switch to the Classic Control Panel (you can switch back the same way). Then Administrative Tools should be the fourth option or so listed at the top.
From Administrative Tools, choose Computer Management. Then choose Disk Management(Local). This is essentially a partition manager, similar to many commercial products that you'd have to pay for except that the commercial products have a lot more features, but you don't need those features for this.
Right-click the partition you want to format (either at the top list or at the bottom graphical representation of your drives and partitions), and choose "Format..." of course.
If the partition you chose wasn't previously formatted (says Unallocated in the graphical representation towards the bottom), then the option to Format isn't there. Instead, choose "New Partition...".
Press Next choosing your options (I'm guessing you want an Extended/Logical partition). Eventually you'll get to the screen that gives you the option to change the File system from NTFS to FAT32 or even FAT from the drop down menu. Unless you know about Allocation unit size (also called Cluster size or Sector size), then leave it at Default.
I would normally checkmark "Perform a quick format" at the bottom of this screen. Depending on the size of the drive, a non-quick format can take a LONG time.
Let me know how you make out or if there's any problems. These instructions were based on Windows XP but are essentially the same for Windows Vista or even Windows Server 2003. I'm guessing they also apply to Windows 2000; I don't remember.